The sound you hear is the air stalling the turbo, when you let off the throttle the pressurised air produced by the turbo hits the closed butterfly in the throttle body and has no where to go, a dumpvalve releases this, no dumpvalve and it hits the compessor wheel and makes the noise you on about. The noise is much louder when you have a cone filter fitted.

Probably not the best explanation but you should hopefully understand what i mean.

I blame Jerermy Clarkson for people calling it wastegate chatter, the only wastegate noise you will ever hear is if you havent got the preload of the actuator set right it will make a horrible vibrating noise. Or if the penny fell off you would probably hear it pinging through you exhaust whilst thinking why has my car just turned into a 1.6L.